import requests import pandas as pd import mplfinance as mpf import matplotlib.pyplot as plt from datetime import datetime, timedelta import os import numpy as np from PIL import Image import tensorflow as tf from tensorflow.keras import layers, models from sklearn.metrics import accuracy_score, f1_score, recall_score, roc_auc_score, precision_recall_curve, auc from sklearn.utils.class_weight import compute_class_weight import argparse import gc import time # Use non-interactive backend for matplotlib plt.switch_backend('Agg') # Coin configurations COINS = { "BTCUSDT": {"train_month": (2024, 6), "test_months": [(2024, 12), (2024, 3), (2024, 8), (2024, 4), (2024, 1)]}, "ETHUSDT": {"train_month": (2024, 6), "test_months": [(2024, 8), (2024, 4), (2024, 5), (2024, 3), (2024, 2)]}, "BNBUSDT": {"train_month": (2024, 10), "test_months": [(2024, 3), (2024, 12), (2024, 8), (2024, 1), (2024, 4)]}, "XRPUSDT": {"train_month": (2024, 9), "test_months": [(2024, 11), (2024, 12), (2024, 4), (2024, 8), (2024, 1)]}, "ADAUSDT": {"train_month": (2024, 9), "test_months": [(2024, 4), (2024, 12), (2024, 1), (2024, 3), (2024, 11)]}, "DOGEUSDT": {"train_month": (2024, 9), "test_months": [(2024, 3), (2024, 4), (2024, 11), (2024, 8), (2024, 12)]} } TIME_LENGTHS = [7, 14, 21, 28] # 1, 2, 3, 4 weeks in days WINDOW_SIZES = [5, 15, 30] # Candles per image MISSING_RATIOS = [0.6, 0.8, 0.95] # 60%, 80%, 95% missing data # Set BASE_DIR to new folder for irregular data BASE_DIR = os.path.join(os.path.dirname(os.path.abspath(__file__)), "crypto_research_minute_irregular") # Binance API data fetcher with irregular data omission def fetch_coin_data(symbol, start_time, end_time, missing_ratio): url = "https://api.binance.com/api/v3/klines" all_data = [] current_start = int(start_time.timestamp() * 1000) end_ms = int(end_time.timestamp() * 1000) while current_start < end_ms: params = {"symbol": symbol, "interval": "1m", "startTime": current_start, "endTime": end_ms, "limit": 1000} response = requests.get(url, params=params) data = response.json() if not data: break all_data.extend(data) current_start = int(data[-1][0]) + 60000 # 1 minute in milliseconds df = pd.DataFrame(all_data, columns=["timestamp", "open", "high", "low", "close", "volume", "close_time", "quote_asset_volume", "trades", "taker_buy_base", "taker_buy_quote", "ignore"]) df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms") df[["open", "high", "low", "close"]] = df[["open", "high", "low", "close"]].astype(float) # Apply irregular data omission if missing_ratio > 0: n_rows = len(df) n_keep = int(n_rows * (1 - missing_ratio)) if n_keep < 1: # Allow at least 1 row print(f"Warning: Not enough data after {missing_ratio*100}% omission for {symbol}, keeping all data") return df[["timestamp", "open", "high", "low", "close"]] keep_indices = np.random.choice(n_rows, size=n_keep, replace=False) df = df.iloc[keep_indices].sort_values("timestamp").reset_index(drop=True) return df[["timestamp", "open", "high", "low", "close"]] # Generate candlestick images and labels with sparse windows def generate_images(df, window_size, output_dir, period_name, month_str, missing_ratio): os.makedirs(output_dir, exist_ok=True) labels_file = os.path.join(output_dir, f"labels_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct.csv") if os.path.exists(labels_file): print(f"Labels already exist at {labels_file}, skipping image generation") return labels_file if len(df) < 1: print(f"Warning: DataFrame too small ({len(df)} rows) for any window, skipping image generation") return None labels = [] start_time = time.time() # Use index as timestamps since it's set as index original_timestamps = pd.date_range(start=df.index[0], end=df.index[-1], freq="1min") for i in range(len(original_timestamps) - window_size + 1): window_start = original_timestamps[i] window_end = original_timestamps[i + window_size - 1] window_indices = df.index[(df.index >= window_start) & (df.index <= window_end)] window_df = df.loc[window_indices] if len(window_df) > 0: first_candle = window_df.iloc[0] last_candle = window_df.iloc[-1] label = "UP" if last_candle["close"] > first_candle["open"] else "DOWN" labels.append(label) plt.figure(figsize=(2, 2)) mpf.plot(window_df, type="candle", style="binance", axisoff=True, title="", ylabel="", xlabel="", volume=False, tight_layout=True) image_path = os.path.join(output_dir, f"candle_{i}_{int(missing_ratio*100)}pct.png") plt.savefig(image_path, bbox_inches="tight", pad_inches=0, dpi=32) plt.close('all') if i % 1000 == 0: elapsed = time.time() - start_time images_generated = i + 1 speed = images_generated / elapsed if elapsed > 0 else 0 print(f"Generated image {i}/{len(original_timestamps) - window_size + 1} for {month_str} 1m {period_name} w{window_size} {missing_ratio*100}% ({speed:.2f} images/sec)") else: continue labels_df = pd.DataFrame({"image_path": [f"candle_{i}_{int(missing_ratio*100)}pct.png" for i in range(len(original_timestamps) - window_size + 1) if os.path.exists(os.path.join(output_dir, f"candle_{i}_{int(missing_ratio*100)}pct.png"))], "label": labels}) labels_df.to_csv(labels_file, index=False) print(f"Saved {len(labels_df)} labels to {labels_file}") return labels_file # Load and preprocess images def load_images(labels_file, images_dir): if not os.path.exists(labels_file): return None, None labels_df = pd.read_csv(labels_file) X = np.array([np.array(Image.open(os.path.join(images_dir, row["image_path"])).convert("RGB").resize((64, 64))) / 255.0 for _, row in labels_df.iterrows()]) y = np.array([1 if label == "UP" else 0 for label in labels_df["label"]]) return X, y # Train CNN model def train_model(X, y, period_name, month_str, window_size, coin_dir, missing_ratio): model_path = os.path.join(coin_dir, "models", f"model_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct.h5") if os.path.exists(model_path): print(f"Model already exists at {model_path}, loading instead of training") return tf.keras.models.load_model(model_path), None model = models.Sequential([ layers.Conv2D(32, (3, 3), activation="relu", input_shape=(64, 64, 3)), layers.MaxPooling2D((2, 2)), layers.Dropout(0.25), layers.Conv2D(64, (3, 3), activation="relu"), layers.MaxPooling2D((2, 2)), layers.Dropout(0.25), layers.Conv2D(128, (3, 3), activation="relu"), layers.Flatten(), layers.Dense(128, activation="relu"), layers.Dropout(0.5), layers.Dense(1, activation="sigmoid") ]) model.compile(optimizer="adam", loss="binary_crossentropy", metrics=["accuracy"]) class_weights = compute_class_weight('balanced', classes=np.unique(y), y=y) history = model.fit(X, y, epochs=10, batch_size=32, class_weight=dict(enumerate(class_weights))) model.save(model_path) print(f"Model saved to {model_path}") return model, history # Evaluate and save results def evaluate_and_save(model, X, y, period_name, month_str, window_size, coin_dir, dataset_type="train", exp_suffix="", missing_ratio=0): results_file = os.path.join(coin_dir, "results", f"results_{dataset_type}_{month_str}_1m_{period_name}_w{window_size}_{int(missing_ratio*100)}pct{exp_suffix}.txt") if os.path.exists(results_file) and exp_suffix != "_exp2": print(f"Results already exist at {results_file}, skipping evaluation") return None y_pred_prob = model.predict(X, verbose=0) y_pred = (y_pred_prob > 0.5).astype(int).flatten() metrics = { "accuracy": accuracy_score(y, y_pred), "f1": f1_score(y, y_pred), "recall": recall_score(y, y_pred), "auroc": roc_auc_score(y, y_pred_prob), "auprc": auc(*precision_recall_curve(y, y_pred_prob)[1::-1]) } with open(results_file, "w") as f: f.write(f"{dataset_type.capitalize()} Metrics for {month_str} 1m {period_name} w{window_size} {missing_ratio*100}% {exp_suffix}:\n") for k, v in metrics.items(): f.write(f"{k.capitalize()}: {v:.4f}\n") print(f"Results saved to {results_file}") return metrics # Check if all experiments for a window size and missing ratio are complete def is_window_size_complete(symbol, train_month, test_months, window_size, missing_ratio): coin_dir = os.path.join(BASE_DIR, symbol) train_year, train_month_num = train_month train_month_str = f"{train_year}-{train_month_num:02d}" ratio_str = f"_{int(missing_ratio*100)}pct" # Check Experiment I for days in TIME_LENGTHS: period_name = f"{days}days" train_result = os.path.join(coin_dir, "results", f"results_train_{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}.txt") if not os.path.exists(train_result): return False for test_year, test_month_num in test_months: test_month_str = f"{test_year}-{test_month_num:02d}" test_result = os.path.join(coin_dir, "results", f"results_test_{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}.txt") if not os.path.exists(test_result): return False # Check Experiment II period_name = "1week" train_result = os.path.join(coin_dir, "results", f"results_train_{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}_exp2.txt") if not os.path.exists(train_result): return False for test_year, test_month_num in test_months: test_month_str = f"{test_year}-{test_month_num:02d}" for days in [14, 21, 28]: period_name = f"{days}days" test_result = os.path.join(coin_dir, "results", f"results_test_{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}_exp2.txt") if not os.path.exists(test_result): return False return True # Main experiment runner for a single coin, window size, and missing ratio def run_experiments_for_coin(symbol, train_month, test_months, window_size, missing_ratio): if is_window_size_complete(symbol, train_month, test_months, window_size, missing_ratio): print(f"All experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing complete, skipping") return coin_dir = os.path.join(BASE_DIR, symbol) RAW_DATA_DIR = os.path.join(coin_dir, "raw_data") IMAGES_DIR = os.path.join(coin_dir, "images") MODELS_DIR = os.path.join(coin_dir, "models") RESULTS_DIR = os.path.join(coin_dir, "results") os.makedirs(RAW_DATA_DIR, exist_ok=True) os.makedirs(IMAGES_DIR, exist_ok=True) os.makedirs(MODELS_DIR, exist_ok=True) os.makedirs(RESULTS_DIR, exist_ok=True) train_year, train_month_num = train_month ratio_str = f"_{int(missing_ratio*100)}pct" # Experiment I: Train and test on matching timelengths for days in TIME_LENGTHS: period_name = f"{days}days" train_start = datetime(train_year, train_month_num, 1) train_end = train_start + timedelta(days=days - 1, hours=23, minutes=59) train_month_str = f"{train_year}-{train_month_num:02d}" raw_file = os.path.join(RAW_DATA_DIR, f"raw_{train_month_str}_1m_{period_name}{ratio_str}.csv") if not os.path.exists(raw_file): df = fetch_coin_data(symbol, train_start, train_end, missing_ratio) df.set_index("timestamp", inplace=True) df.to_csv(raw_file) print(f"Raw data saved to {raw_file}") else: print(f"Raw data already exists at {raw_file}, skipping fetch") df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"]) df.index = pd.to_datetime(df.index) images_subdir = os.path.join(IMAGES_DIR, f"{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}") labels_file = generate_images(df, window_size, images_subdir, period_name, train_month_str, missing_ratio) if labels_file: X, y = load_images(labels_file, images_subdir) if X is not None: model, history = train_model(X, y, period_name, train_month_str, window_size, coin_dir, missing_ratio) evaluate_and_save(model, X, y, period_name, train_month_str, window_size, coin_dir, "train", missing_ratio=missing_ratio) tf.keras.backend.clear_session() gc.collect() for test_year, test_month_num in test_months: test_start = datetime(test_year, test_month_num, 1) test_end = test_start + timedelta(days=days - 1, hours=23, minutes=59) test_month_str = f"{test_year}-{test_month_num:02d}" raw_file = os.path.join(RAW_DATA_DIR, f"raw_{test_month_str}_1m_{period_name}{ratio_str}.csv") if not os.path.exists(raw_file): df = fetch_coin_data(symbol, test_start, test_end, missing_ratio) df.set_index("timestamp", inplace=True) df.to_csv(raw_file) print(f"Raw data saved to {raw_file}") else: print(f"Raw data already exists at {raw_file}, skipping fetch") df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"]) df.index = pd.to_datetime(df.index) images_subdir = os.path.join(IMAGES_DIR, f"{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}") labels_file = generate_images(df, window_size, images_subdir, period_name, test_month_str, missing_ratio) if labels_file: X, y = load_images(labels_file, images_subdir) if X is not None: evaluate_and_save(model, X, y, period_name, test_month_str, window_size, coin_dir, "test", missing_ratio=missing_ratio) tf.keras.backend.clear_session() gc.collect() # Experiment II: Train on 1 week, test on 2-3-4 weeks exp2_test_lengths = [14, 21, 28] train_start = datetime(train_year, train_month_num, 1) train_end = train_start + timedelta(days=6, hours=23, minutes=59) train_month_str = f"{train_year}-{train_month_num:02d}" period_name = "1week" raw_file = os.path.join(RAW_DATA_DIR, f"raw_{train_month_str}_1m_{period_name}{ratio_str}.csv") if not os.path.exists(raw_file): df = fetch_coin_data(symbol, train_start, train_end, missing_ratio) df.set_index("timestamp", inplace=True) df.to_csv(raw_file) print(f"Raw data saved to {raw_file}") else: print(f"Raw data already exists at {raw_file}, skipping fetch") df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"]) df.index = pd.to_datetime(df.index) images_subdir = os.path.join(IMAGES_DIR, f"{train_month_str}_1m_{period_name}_w{window_size}{ratio_str}") labels_file = generate_images(df, window_size, images_subdir, period_name, train_month_str, missing_ratio) if labels_file: X, y = load_images(labels_file, images_subdir) if X is not None: model, history = train_model(X, y, period_name, train_month_str, window_size, coin_dir, missing_ratio) evaluate_and_save(model, X, y, period_name, train_month_str, window_size, coin_dir, "train", "_exp2", missing_ratio) tf.keras.backend.clear_session() gc.collect() for test_year, test_month_num in test_months: test_month_str = f"{test_year}-{test_month_num:02d}" for days in exp2_test_lengths: period_name = f"{days}days" test_start = datetime(test_year, test_month_num, 1) test_end = test_start + timedelta(days=days - 1, hours=23, minutes=59) raw_file = os.path.join(RAW_DATA_DIR, f"raw_{test_month_str}_1m_{period_name}{ratio_str}.csv") if not os.path.exists(raw_file): df = fetch_coin_data(symbol, test_start, end_time, missing_ratio) df.set_index("timestamp", inplace=True) df.to_csv(raw_file) print(f"Raw data saved to {raw_file}") else: print(f"Raw data already exists at {raw_file}, skipping fetch") df = pd.read_csv(raw_file, index_col="timestamp", parse_dates=["timestamp"]) df.index = pd.to_datetime(df.index) images_subdir = os.path.join(IMAGES_DIR, f"{test_month_str}_1m_{period_name}_w{window_size}{ratio_str}") labels_file = generate_images(df, window_size, images_subdir, period_name, test_month_str, missing_ratio) if labels_file: X, y = load_images(labels_file, images_subdir) if X is not None: evaluate_and_save(model, X, y, period_name, test_month_str, window_size, coin_dir, "test", "_exp2", missing_ratio) tf.keras.backend.clear_session() gc.collect() # Run experiments for all coins, window sizes, and missing ratios def run_all_experiments(): os.makedirs(BASE_DIR, exist_ok=True) for symbol, config in COINS.items(): for window_size in WINDOW_SIZES: for missing_ratio in MISSING_RATIOS: print(f"Running experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing") run_experiments_for_coin(symbol, config["train_month"], config["test_months"], window_size, missing_ratio) print(f"Completed experiments for {symbol} with window size {window_size} and {missing_ratio*100}% missing") tf.keras.backend.clear_session() gc.collect() if __name__ == "__main__": parser = argparse.ArgumentParser(description="Crypto Minute-Based Image Classification with Irregular Missing Data and Sparse Windows") args = parser.parse_args() run_all_experiments()